Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.4594 |
| Annualized Std Dev | 0.7225 |
| Annualized Sharpe (Rf=0%) | -0.6358 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3083.0000 |
| NAs | 1.0000 |
| Minimum | -0.2667 |
| Quartile 1 | -0.0258 |
| Median | -0.0030 |
| Arithmetic Mean | -0.0014 |
| Geometric Mean | -0.0024 |
| Quartile 3 | 0.0222 |
| Maximum | 0.3507 |
| SE Mean | 0.0008 |
| LCL Mean (0.95) | -0.0030 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0021 |
| Stdev | 0.0455 |
| Skewness | 0.2735 |
| Kurtosis | 5.2252 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0314 |
| Gain Deviation | 0.0337 |
| Loss Deviation | 0.0306 |
| Downside Deviation (MAR=210%) | 0.0368 |
| Downside Deviation (Rf=0%) | 0.0321 |
| Downside Deviation (0%) | 0.0321 |
| Maximum Drawdown | 0.9997 |
| Historical VaR (95%) | -0.0674 |
| Historical ES (95%) | -0.1030 |
| Modified VaR (95%) | -0.0679 |
| Modified ES (95%) | -0.0880 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-03-03 | 2021-02-16 | NA | -0.9997 | 3035 | 3011 | NA |
| 2009-01-21 | 2009-02-06 | 2009-03-02 | -0.4131 | 28 | 13 | 15 |
| 2008-12-24 | 2009-01-06 | 2009-01-14 | -0.3324 | 14 | 8 | 6 |
| 2009-01-15 | 2009-01-16 | 2009-01-20 | -0.0731 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -4.3 | -4.3 |
| 2009 | 3.2 | 4.1 | -10.4 | -5.1 | -12.5 | -4.3 | -1.7 | 5.7 | 7 | 13.3 | -8.1 | -1 | -12.3 |
| 2010 | -8.4 | -5.2 | -7.8 | 3.8 | 5.8 | -2.2 | -1.4 | -10.4 | -4.6 | -3.4 | -8.6 | -2.3 | -37.5 |
| 2011 | -7.3 | 3.3 | -4.6 | -2.3 | 5.2 | -3.9 | 0.4 | 1.5 | 14 | 7.1 | 0.6 | -0.4 | 12.4 |
| 2012 | -6.7 | -2.7 | -2.2 | -2.1 | 7.7 | -13.3 | -0.5 | -2.8 | -3.2 | -5.3 | 0.4 | -4.6 | -31.1 |
| 2013 | -2.1 | -1.4 | 2.9 | 3.2 | 5.5 | -1.1 | -5.4 | -2.5 | -5.9 | -0.2 | -3.2 | -2.6 | -12.7 |
| 2014 | -0.4 | 1.9 | -3.3 | -0.7 | 3.9 | -2.9 | -1.7 | 0.6 | 6 | -1.2 | 5.2 | -0.2 | 6.8 |
| 2015 | 7.8 | 0.3 | -3.9 | -1.9 | 0.8 | -0.2 | -3.3 | 12 | -1.4 | -0.4 | -2.5 | 1 | 7.4 |
| 2016 | 2.5 | -10.8 | 0.6 | 1.1 | 0.1 | -2.6 | 0.6 | -2 | -1.6 | 2.7 | 3.2 | 1.9 | -5.1 |
| 2017 | -0.3 | -4.3 | 2.3 | -1.3 | -2.7 | -1.6 | -1.1 | -2.1 | -3.4 | -1.7 | 1.7 | -1.3 | -14.9 |
| 2018 | 3.8 | 0.7 | -6 | 1.5 | -3.8 | -4.7 | 2.4 | -1.7 | 0.1 | -10.7 | 0.5 | 1.1 | -16.3 |
| 2019 | 2.4 | 0 | -4.9 | 2.1 | -1.1 | -3.8 | 5.9 | -2.1 | 1.9 | -4.5 | 4.4 | -0.5 | -0.8 |
| 2020 | 5.9 | 0.8 | 12.4 | 10.7 | -7 | -3.5 | 1.9 | -5.2 | -3 | 3.2 | -3 | 0.2 | 12.4 |
| 2021 | -8.3 | -8.1 | -3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -18.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
